Applied Econometric Times Series

ISBN-10: 0470505397
ISBN-13: 9780470505397
Edition: 3rd 2010
Authors: Walter Enders
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Description: Enders continues to provide business professionals with an accessible introduction to time-series analysis. He clearly shows them how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using the  More...

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Book details

List price: $174.99
Edition: 3rd
Copyright year: 2010
Publisher: John Wiley & Sons, Limited
Publication date: 11/24/2009
Binding: Hardcover
Pages: 544
Size: 6.25" wide x 9.25" long x 1.00" tall
Weight: 1.254
Language: English

Enders continues to provide business professionals with an accessible introduction to time-series analysis. He clearly shows them how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using the latest techniques. The third edition includes new discussions on parameter instability and structural breaks as well as out-of-sample forecasting methods. New developments in unit root test and cointegration tests are covered. Multivariate GARCH models are also presented. In addition, several statistical examples have been updated with real-world data to help business professionals understand the relevance of the material.

Preface
About The Author
Difference Equations
Introduction
Time-Series Models
Difference Equations and their Solutions
Solution by Iteration
An Alternative Solution Methodology
The Cobweb Model
Solving Homogeneous Difference Equations
Particular Solutions for Deterministic Processes
The Method of Undetermined Coefficients
Lag Operators
Summary
Questions and Exercises
Endnotes
Imaginary Roots and de Moivre's Theorem
Characteristic Roots in Higher-Order Equations
Stationary Time-Series Models
Stochastic Difference Equation Models
Arma Models
Stationarity
Stationarity Restrictions for an Arma (p, q) Model
The Autocorrelation Function
The Partial Autocorrelation Function
Sample Autocorrelations of Stationary Series
Box-Jenkins Model Selection
Properties of Forecasts
A Model of the Interest Rate Spread
Seasonality
Parameter Instability and Structural Change
Summary and Conclusions
Questions and Exercises
Endnotes
Estimation of an MA (1) Process
Model Selection Criteria
Modeling Volatility
Economic Time Series: The Stylized Facts
Arch Processes
Arch and Garch Estimates of Inflation
Two Examples of Garch Models
A Garch Model of Risk
The Arch-M Model
Additional Properties of Garch Processes
Maximum-Likelihood Estimation of Garch Models
Other Models of Conditional Variance
Estimating the Nyse International 100 Index
Multivariate Garch
Summary and Conclusions
Questions and Exercises
Endnotes
Multivariate Garch Models
Models With Trends
Deterministic and Stochastic Trends
Removing the Trend
Unit Roots and Regression Residuals
The Monte Carlo Method
Dickey-Fuller Tests
Examples of the Dickey-Fuller Test
Extensions of the Dickey-Fuller Test
Structural Change
Power and the Deterministic Regressors
Tests with More Power
Panel Unit Root Tests
Trends and Univariate Decompositions
Summary and Conclusions
Questions and Exercises
Endnotes
The Bootstrap
Determination of the Deterministic Regressors
Multiequation Time-Series Models
Intervention Analysis
Transfer Function Models
Estimating a Transfer Function
Limits to Structural Multivariate Estimation
Introduction to Var Analysis
Estimation and Identification
The Impulse Response Function
Testing Hypotheses
Example of a Simple Var: Terrorism and Tourism in Spain
Structural Vars
Examples of Structural Decompositions
The Blanchard-Quah Decomposition
Decomposing Real and Nominal Exchange Rates: An Example
Summary and Conclusions
Questions and Exercises
Endnotes
Cointegration and Error-Correction Models
Linear Combinations of Integrated Variables
Cointegration and Common Trends
Cointegration and Error Correction
Testing for Cointegration: The Engle-Granger Methodology
Illustrating the Engle-Granger Methodology
Cointegration and Purchasing Power Parity
Characteristic Roots, Rank, and Cointegration
Hypothesis Testing
Illustrating the Johansen Methodology
Error-Correction and ADL Tests
Comparing the Three Methods
Summary and Conclusions
Questions and Exercises
Endnotes
Characteristic Roots, Stability, and Rank
Inference on a Cointegrating Vector
Nonlinear Time-Series Models
Linear Versus Nonlinear Adjustment
Simple Extensions of the ARMA Model
Pretesting in Nonlinearity
Threshold Autoregressive Models
Extensions of the Tar Model
Three Threshold Models
Smooth-Transition Models
Other Regime Switching Models
Estimates of Star Models
Generalized Impulse Responses and Forecasting
Unit Roots and Nonlinearity
Summary and Conclusions
Questions and Exercises
Endnotes
Statistical Tables
Empirical Cumulative Distribution of the ?
Empirical Distribution of �
Critical Values for the Engle-Granger Cointegration Test
Residual-Based Cointegration Test with I(1) and I(2) Variables
Empirical Distributions of the $<sub>max</sub> and $<sub>trace</sub> Statistics
Critical Values for �<sub>1</sub> = 0 in the Error-correction Model
Critical Values for Threshold Unit Roots
References
Subject Index

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